Program Description:
The proposed program will mostly address, but will not be limited to, the aspects of mathematical modelling and subsequent analysis of risks related to activities in the financial industry and, more generally, economics. We also expect that major attention will be paid to studying the mathematical theory that can be used to model more general types of risk, related to chronic and long-term hazards and extremes, as well as the interplay between them.

The program consists of three weeks:

1. Week 1 (20 – 24 November) will include four five-hour workshops for PhD students, research workers and industry specialists (each run over a period of two days, for the convenience of the part-time participants) on the topics of the program.

On 20 and 21 November, M. Kratz will present a workshop on “Extreme Value Theory and its Applications to Insurance and Finance”, and M. Zhitlukin will give a workshop on “Financial measures of risk and performance”. On 23 and 24 November, Z. Palmowski will present a workshop on “Ruin probabilities: exact and asymptotic results”, and M. Kabanov will give a workshop on “Clearing in financial systems”.

2. Week 2 (27 November – 1 December): in that week, we will run a conference on the topics of the program. More detail (incl. registration) will be announced shortly.

3. Week 3 (4 – 8 December) will mostly be devoted to research collaboration, starting on Monday morning and ending on Friday at noon. We expect that there will be informal talks that will be placed in the morning. Afternoons are reserved for collaboration.

Selection of confirmed participants:

Sergey Foss (Heriot-Watt University)

Yuri Kabanov (University of Franche-Comté)

Ross Maller (Australian National University)

Masaaki Kijima (Tokyo Metropolitan University)

Zbigniew Palmowski (Wroclaw University of Science and Technology)

Marie Kratz (ESSEC Business School)

Program Details and Materials:
Program Structure. (Please click image to enlarge)

The program is supported by the ARC Centre of Excellence for Mathematical & Statistical Frontiers (ACEMS) and the School of Mathematical Sciences, Monash University. The workshops in Week 1 are partially supported by the M. Belz Fund. The conference in Week 2 is supported by the Australian Mathematical Sciences Institute (AMSI).